How to create a custom theme for Horizon

Based on the idea or proposal of Kieran Spear, I'll document here, what
has to be done, if one needs to customize Horizon (for whatever reason).

Let's say, one needs to create a corporate theme, named
horizon_bigcorp. Then we first need to change local_settings.py. In
Fedora and EPEL, that file is located at
/etc/openstack-dashboard/local_settings